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1answer
179 views

Are Papers and Funds reporting Monthly drawdowns using daily granularity?

I'm curious as to how many academic studies and industry white papers are actually using daily data to report intramonth drawdowns; specifically, when the papers are often reporting monthly signals, ...
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0answers
123 views

Is there such a thing as “sell-off risk” in bond funds?

Popular yet generally academically-grounded commentators such as Annette Thau and Larry Swedroe have claimed that there is the possibility for "sell-off risk" in bond funds. By this they apparently ...
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49 views

Jensen's alpha with timing activities

Why is Jensen’s Alpha not an appropriate measure of performance anymore, if the fund manager is a perfect market timer as stated for example in the Treynor-Mazuy-model or the Henriksson-Merton-model?
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89 views

how to identify similar assets based only on a few price samples

Using quantitative finances techniques on limited information, how might one go about finding similar(highly correlated) assets whose public information is available? The only data offered on a list ...
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31 views

Historical Daily NAV for Closed End Funds

Does anyone know where to get historical, daily net asset values for closed end funds from the date of inception to the present? Yahoo finance has daily opening, high, low, closing values, but no NAV ...
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58 views

Fund Allocation Logic

I am writing a program which automatically calculates the trade allocations. Imagine we have a 3 funds, Fund A, B and C. They current asset allocations (so-far-percentages) are 10%, 20%, 70% ...